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Noguera, Jose - EconWPA - 2001

This essay is a contribution to the empirical literature on the effect of inflation tax on capital structure. A simple empirical model considering the main results of the current theoretical development is studied, using microdata from a number of American corporations.

Persistent link: https://www.econbiz.de/10005134880

Corporate Governance Mechanisms and Firm Financing in India

Kumar, Jayesh - EconWPA - 2005

This study investigates the firm financing patterns in India and the role of corporate governance mechanisms. We use firm-level time series data of nearly 2000 listed companies from 1994 through 2000, to analyze the firm’s corporate financing behavior in connection with its corporate...

Persistent link: https://www.econbiz.de/10005134838

Liquidity Effects of Changes in a Pan-European Stock Index

Pape, Ulrich; Schmidt-Tank, Stephan - EconWPA - 2005

that has been brought forward in the literature is the liquidity hypothesis according to which an increase in liquidity … after an addition is responsible for the observed rise in value. In the following paper, we examine liquidity effects on … as indicators for liquidity. While there is a medium term price effect, bid-ask spreads do not change significantly due …

Persistent link: https://www.econbiz.de/10005413217

Characterizing Asymmetric Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

This paper studies the international portfolio flows of US investors to examine the information structure of international equity markets. We use an empirical model of portfolio flows with both public and private information to extract measures of trades due to private information. We find that...

Persistent link: https://www.econbiz.de/10005125533

International equity flows and returns: a quantitative equilibrium approach

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - EconWPA - 2005

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10005062693

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005062701

Return-volatility linkages in the international equity and currency markets

Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations...

Persistent link: https://www.econbiz.de/10005413091

Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets

Altay, Erdinc - EconWPA - 2003

This paper studies the cross-autocorrelation structure in the German and Turkish stock markets by using daily portfolio returns. We find the evidence that large cap portfolios lead small cap portfolios in both subperiods of German stock market but this structure is seen only in the first...

Persistent link: https://www.econbiz.de/10005413132

Persistence Characteristics of Latin American Financial Markets

KYAW, NYO NYO A.; LOS, CORNELIS A.; ZONG, SIJING - EconWPA - 2004

Static time series models usually assume stationarity, normality, and independence for the increments of financial rates of return. This paper investigates the empirical characteristics of financial rates of return from Latin American stock and currency markets and documents that their empirical...

Persistent link: https://www.econbiz.de/10005561684

LA INFORMACION CONTABLE Y LA VALUACION DE ACTIVOS DE CAPITAL EN EL SECTOR DE INVERSIONES CHILENO

Rubio, Fernando - EconWPA - 2004

Este trabajo pretende, utilizando una versión modificada del modelo de crecimiento continuo de Higgins para la valuación de activos de capital, obtener evidencia en cuanto a la relevancia de la información contable en la valuación del valor de mercado del patrimonio en la industria de...

Persistent link: https://www.econbiz.de/10005134899

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